An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new arbitrage-free generalized Nelson-Siegel model and demonstrate its tractability and good in-sample fit.Yield Curve, Interest Rate, Bond Market, Svensson Model

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our empirical analysis shows that imposing the Nelson-Siegel structure on this canonical representation greatly improves its empirical tractability; furthermore, we find that improvements in predictive performance are achieved from the imposition of absence of arbitrage.arbitrage, Nelson-Siegel, term structure, factor models, forecast accuracy

Uncovering predictability in the evolution of the WTI oil futures curve

Accurately forecasting the price of oil, the world's most actively traded commodity, is of great importance to both academics and practitioners. We contribute by proposing a functional time series based method to model and forecast oil futures. Our approach boasts a number of theoretical and practical advantages including effectively exploiting underlying process dynamics missed by classical discrete approaches. We evaluate the finite-sample performance against established benchmarks using a model confidence set test. A realistic out-of-sample exercise provides strong support for the adoption of our approach with it residing in the superior set of models in all considered instances.Comment: 28 pages, 4 figures, to appear in European Financial Managemen

Structure and apparent topography of TiO2 (110) surfaces

We present self-consistent ab-initio total-energy and electronic-structure calculations on stoichiometric and non-stoichiometric TiO2 (110) surfaces. Scanning tunneling microscopy (STM) topographs are simulated by calculating the local electronic density of states over an energy window appropriate for the experimental positive-bias conditions. We find that under these conditions the STM tends to image the undercoordinated Ti atoms, in spite of the physical protrusion of the O atoms, giving an apparent reversal of topographic contrast on the stoichiometric 1x1 or missing-row 2x1 surface. We also show that both the interpretation of STM images and the direct comparison of surface energies favor an added-row structure over the missing-row structure for the oxygen-deficient 2x1 surface.Comment: 6 pages, two-column style with 5 postscript figures embedded. Uses REVTEX and epsf macros. Also available at http://www.physics.rutgers.edu/~dhv/preprints/index.html#ng_tio

Properties of the electron-doped infinite-layer superconductor Sr1−x_{1-x}Lax_{x}CuO2_{2} epitaxially grown by pulsed laser deposition

Thin films of the electron-doped infinite-layer cuprate superconductor Sr$_{1-x}$La$_x$CuO$_2$ (SLCO) with doping $x \approx 0.15$ were grown by means of pulsed laser deposition. (001)-oriented KTaO$_3$ and SrTiO$_3$ single crystals were used as substrates. In case of SrTiO$_3$, a BaTiO$_3$ thin film was deposited prior to SLCO, acting as buffer layer providing tensile strain to the SLCO film. To induce superconductivity, the as-grown films were annealed under reducing conditions, which will be described in detail. The films were characterized by reflection high-energy electron diffraction, atomic force microscopy, x-ray diffraction, Rutherford backscattering spectroscopy, and electric transport measurements at temperatures down to $T = 4.2\,$K. We discuss in detail the influence of different process parameters on the final film properties.Comment: 16 pages, 14 figure

International evidence on business cycle duration dependence

We provide an investigation of duration dependence in prewar business expansions, contractions, and whole cycles for France, Germany, and Great Britain. Our results, obtained using both nonparametric and parametric procedures, generally indicate the presence of positive duration dependence in expansions and whole cycles but not in contractions. Our results corroborate those of our earlier studies of the United States.Business cycles

Accelerator experiments with soft protons and hyper-velocity dust particles: application to ongoing projects of future X-ray missions

We report on our activities, currently in progress, aimed at performing accelerator experiments with soft protons and hyper-velocity dust particles. They include tests of different types of X-ray detectors and related components (such as filters) and measurements of scattering of soft protons and hyper-velocity dust particles off X-ray mirror shells. These activities have been identified as a goal in the context of a number of ongoing space projects in order to assess the risk posed by environmental radiation and dust and qualify the adopted instrumentation with respect to possible damage or performance degradation. In this paper we focus on tests for the Silicon Drift Detectors (SDDs) used aboard the LOFT space mission. We use the Van de Graaff accelerators at the University of T\"ubingen and at the Max Planck Institute for Nuclear Physics (MPIK) in Heidelberg, for soft proton and hyper-velocity dust tests respectively. We present the experimental set-up adopted to perform the tests, status of the activities and some very preliminary results achieved at present time.Comment: Proceedings of SPIE, Vol. 8443, Paper No. 8443-24, 201

Au/TiO2(110) interfacial reconstruction stability from ab initio

We determine the stability and properties of interfaces of low-index Au surfaces adhered to TiO2(110), using density functional theory energy density calculations. We consider Au(100) and Au(111) epitaxies on rutile TiO2(110) surface, as observed in experiments. For each epitaxy, we consider several different interfaces: Au(111)//TiO2(110) and Au(100)//TiO2(110), with and without bridging oxygen, Au(111) on 1x2 added-row TiO2(110) reconstruction, and Au(111) on a proposed 1x2 TiO reconstruction. The density functional theory energy density method computes the energy changes on each of the atoms while forming the interface, and evaluates the work of adhesion to determine the equilibrium interfacial structure.Comment: 20 pages, 11 figure

Monitoring of In Vivo Function of Superparamagnetic Iron Oxide Labelled Murine Dendritic Cells during Anti-Tumour Vaccination

Dendritic cells (DCs) generated in vitro to present tumour antigens have been injected in cancer patients to boost in vivo anti-tumour immune responses. This approach to cancer immunotherapy has had limited success. For anti-tumour therapy, delivery and subsequent migration of DCs to lymph nodes leading to effective stimulation of effector T cells is thought to be essential. The ability to non-invasively monitor the fate of adoptively transferred DCs in vivo using magnetic resonance imaging (MRI) is an important clinical tool to correlate their in vivo behavior with response to treatment. Previous reports of superparamagnetic iron oxides (SPIOs) labelling of different cell types, including DCs, have indicated varying detrimental effects on cell viability, migration, differentiation and immune function. Here we describe an optimised labelling procedure using a short incubation time and low concentration of clinically used SPIO Endorem to successfully track murine DC migration in vivo using MRI in a mouse tumour model. First, intracellular labelling of bone marrow derived DCs was monitored in vitro using electron microscopy and MRI relaxometry. Second, the in vitro characterisation of SPIO labelled DCs demonstrated that viability, phenotype and functions were comparable to unlabelled DCs. Third, ex vivo SPIO labelled DCs, when injected subcutaneously, allowed for the longitudinal monitoring by MR imaging of their migration in vivo. Fourth, the SPIO DCs induced the proliferation of adoptively transferred CD4+ T cells but, most importantly, they primed cytotoxic CD8+ T cell responses to protect against a B16-Ova tumour challenge. Finally, using anatomical information from the MR images, the immigration of DCs was confirmed by the increase in lymph node size post-DC injection. These results demonstrate that the SPIO labelling protocol developed in this study is not detrimental for DC function in vitro and in vivo has potential clinical application in monitoring therapeutic DCs in patients with cancer